Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0305 |
| Annualized Std Dev | 0.2188 |
| Annualized Sharpe (Rf=0%) | 0.1396 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3677.0000 |
| NAs | 1.0000 |
| Minimum | -0.1400 |
| Quartile 1 | -0.0058 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0070 |
| Maximum | 0.1182 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0002 |
| Stdev | 0.0138 |
| Skewness | -0.2544 |
| Kurtosis | 11.3214 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0101 |
| Gain Deviation | 0.0095 |
| Loss Deviation | 0.0109 |
| Downside Deviation (MAR=210%) | 0.0147 |
| Downside Deviation (Rf=0%) | 0.0100 |
| Downside Deviation (0%) | 0.0100 |
| Maximum Drawdown | 0.4689 |
| Historical VaR (95%) | -0.0215 |
| Historical ES (95%) | -0.0333 |
| Modified VaR (95%) | -0.0203 |
| Modified ES (95%) | -0.0318 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-03-26 | 2009-03-09 | 2018-01-19 | -0.4689 | 2708 | 483 | 2225 |
| 2020-01-21 | 2020-03-23 | 2020-08-26 | -0.3218 | 153 | 44 | 109 |
| 2018-01-29 | 2018-12-24 | 2019-11-27 | -0.2410 | 462 | 228 | 234 |
| 2021-02-17 | 2021-03-08 | NA | -0.0704 | 24 | 14 | NA |
| 2020-10-13 | 2020-10-30 | 2020-11-05 | -0.0675 | 18 | 14 | 4 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | 0.3 | 0 | 0.1 | -0.5 | -0.3 | -0.5 | -0.1 | -1 |
| 2007 | 1.8 | -0.7 | -1.8 | 0.5 | 0.5 | 1 | -0.8 | 1.7 | 0.9 | -0.9 | -0.1 | -0.2 | 2 |
| 2008 | 0.6 | -0.3 | 2 | 0.9 | 1.5 | 0.5 | -0.2 | 0.1 | 2.3 | -0.2 | -2.2 | 2 | 7.2 |
| 2009 | -0.3 | 0.1 | 2.9 | -0.5 | 1.6 | 1.7 | 1.1 | -3.1 | -3.8 | -3.9 | 3.2 | 0.5 | -0.9 |
| 2010 | 1.6 | 1.2 | 1.7 | -1.5 | -3.1 | 0.2 | -0.1 | 3.4 | 1.4 | 0.1 | 2.3 | 0 | 7.3 |
| 2011 | 1.9 | -1.4 | 1.4 | 0.9 | -1.6 | 0.7 | -0.3 | -1.4 | -2.3 | -2.4 | 0.5 | 0.9 | -3.3 |
| 2012 | 2.6 | 0.4 | 0.6 | 1.1 | -2.9 | 4.1 | 0.4 | 1.3 | 0.6 | 1.7 | 0.3 | 1.4 | 12.1 |
| 2013 | 1.2 | -0.6 | -0.8 | -0.4 | -1.9 | 0.9 | 1 | -0.4 | 0.8 | -0.7 | 0 | 0.4 | -0.5 |
| 2014 | -0.3 | 0.5 | 0.2 | 0.5 | -0.5 | 0.7 | -0.1 | 0 | -1.1 | 0.9 | -0.6 | -0.1 | 0 |
| 2015 | -1.9 | 0 | 0.9 | 0.4 | -0.3 | 0.5 | 1.2 | -3.3 | 0.4 | 0 | 1.1 | -0.2 | -1.3 |
| 2016 | -0.1 | 3 | -0.1 | -0.7 | 0 | 0.7 | -0.5 | 0.4 | 0.1 | -0.9 | -1 | 0.1 | 1 |
| 2017 | 0.4 | 0.8 | -0.2 | 0.6 | 0.4 | 0.8 | 0.4 | 0.5 | 0.7 | -0.2 | 0 | 0.4 | 4.6 |
| 2018 | 0.4 | -1.9 | 1.7 | -0.7 | 0.5 | 1 | -0.5 | -0.2 | 0.4 | 2.2 | -0.9 | 0.5 | 2.4 |
| 2019 | -0.1 | 0.9 | 1.4 | -0.8 | -0.4 | 1.2 | -0.4 | 0.7 | -0.6 | 1.4 | -0.7 | 0.6 | 3.3 |
| 2020 | -1.7 | -1.3 | -3.2 | -2.6 | 2.3 | 0.7 | -1.5 | 0.6 | 0.8 | -1.3 | 1.7 | -0.7 | -6.1 |
| 2021 | 2.2 | 1.9 | 0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 4.6 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2006-06-16 50.0 SPY 125. -0.0073 -0.00120 -0.013 -0.0415 0.0313 0.232 -0.0071 GLD 57.7 0.0063 -0.0458
2 2006-06-20 50.3 SPY 124. 0.0034 0.0126 -0.0237 -0.0424 0.0222 0.241 -0.0057 GLD 57.3 0.0167 0.0247
3 2006-06-23 49.9 SPY 124. -0.0002 -0.0017 -0.0137 -0.0443 0.0382 0.263 0.0262 GLD 58.0 0.0045 0.0054
4 2006-06-26 50.1 SPY 125. 0.0044 0.0107 -0.0215 -0.0387 0.0505 0.282 0.0263 GLD 58.3 0.005 0.0341
5 2006-07-06 51.8 SPY 127. 0.00290 0.0216 0.005 -0.0272 0.0666 0.266 0.0433 GLD 63.0 0.0083 0.0952
6 2006-07-07 51.8 SPY 127. -0.0065 -0.0052 0.006 -0.0326 0.0555 0.252 0.0327 GLD 62.6 -0.0062 0.0523
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
